Here comes another week’s update for my investments as of 26 Aug 2022.  Yes, I know. I have officially started losing money ( -2.28% ).  What can I do about it? Well, I am thinking that I might do some small rearrangements in my strategy soon. Preferably before next month’s investment. For instance, I may decide to only use dolvol as a single asset factor in contrast to both dolvol and beta as I do today. This kind of rearrangement seems more sensible after reviewing the results in Why Dolvol and Beta? .

As I have shown you already in Let's open the black box and A few simple rows , I currently use the two asset factors past trading volume (dolvol) and market beta (beta) to find the optimal asset allocation in my investment strategy. However, a natural question following this is, of course, “Why am I using these two factors in particular?”.  One of the reasons to start with is that I only turn to asset factors that can be constructed using completely available financial data. My source of such data consists mainly of the sorts that are available via the yfinance python package and the Kenneth R. French data library . The different types of data that I do have access to are, in short, different kinds of stock prices (open, close, adjusted close, high, and low), trading volumes, and some types of factor portfolio returns (market returns, small-minus-big returns, value-minus-growth returns, etc.). And this makes the universe of available asset factors somewhat restricted.  Neve...

This week’s update as of 19 Aug 2022 starts with a graphical representation of the cumulative returns for my own strategy (ParaTopia) compared to the OMX Stockholm 30 Index (^OMX).  Followed by an overview of my five largest holdings and corresponding returns.  It is evident that I’m still stuck treading water. That is, neither am I losing money, but I am still not competitive enough compared to the market either. It may be that I’m too impatient and that after less than two months it’s still too early to tell. Still, if this continues much longer, I might need to seriously consider making some more drastic changes to my strategy.  

Here comes a new overview of my total asset allocations following  Buy-Side _ August 2022  that went through this Monday.  I have now welcomed both INVE-B.ST and VOLV-B.ST to my portfolio. Although, my strategy is still quite dominated by the big industrial bad boys like SKA-B.ST and ABB.ST. The performance is not looking too bad either. Especially when considering the fact that I have basically doubled the total portfolio using the prices as of 8 Aug 2022.  I am still working on showing you some more sophisticated performance metrics soon. Probably starting with a few simple alphas and returns. Wouldn’t it be really cool to have that (return figures, I mean) as GIF on the page?

A new month calls for a new "platonic" investment opportunity! Following my investment strategy, especially using the expanding window as described in  The Static, the Expanding, and the Moving , I have re-estimated a new pair of thetas. These are indeed very similar (but not exactly identical if you look at the decimals) to those that I previously estimated in  A few simple rows . Nevertheless, using these new thetas, I obtain the following asset allocation for August 2022. My buy-side order is expected to go through this on Monday the 8 th of August and the opening price is yet to be determined (I think). Hence, I report the number of stocks rather than the total holdings in SEK. What surprises me the most is the relatively large position toward SINCH.ST, especially after delivering a quite disappointing performance as displayed in  Update #0729 .

This Monday, it is time for a new monthly investment in which I will also use the data available as of 1 August 2022. When doing so, one question worth considering is “how should my previous chosen thetas account for this new market information? The most basic and safe-card-ish way would be to continue with my fixed and previously optimized thetas. But what if it is possible to obtain even better or even more optimal thetas if I optimize over a period containing more and/or more recent information?     Considering this, I look at three different potential strategies for estimating theta. First, I look at a static strategy where I simply keep my previously estimated thetas. I hence continue using these to find my asset weights as described in A few simple rows  Second, I consider an expanding window strategy where I re-estimate the values of theta by including each additional month’s worth of information as it becomes available. Third, I consider a moving window strat...